ESG And Securitisation: ESG Disclosures For Certain STS Securitisations

The European Supervisory Authorities (ESAs) have submitted final draft regulatory technical standards (RTS) to the European Commission setting out ESG disclosures for STS securitisations (both non-ABCP traditional and on-balance sheet) where the underlying exposures are residential loans, auto loans and leases.

For these types of STS securitisations, the EU Securitisation Regulation (EUSR) requires the originator and sponsor to "publish the available information related to the environmental performance" of the underlying assets as part of their transparency disclosures. In 2021, as part of the Capital Markets Recovery Package, the EUSR was amended to let originators opt to publish "the available information related to the principal adverse impacts" (PAI) of the underlying assets instead. The ESAs were tasked with preparing RTS on the content, methodology and presentation of that PAI information based (to the extent possible) on those set out in the RTS under